A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Efficient Bayesian variable selection for binomial and negative binomial data.
Transformer learns to estimate negative binomial parameters efficiently.
We consider learning parameters of Binomial Hidden Markov Models, which may be used to model DNA methylation data. The standard algorithm for the problem is EM, which is computationally expensive for sequences of the scale of the mammalian genome. Recently developed spectral algorithms can learn parameters of latent va…
The study tightens bounds on binomial probabilities and minimums using KL-divergence.
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rudd, and the Tian binomial tree models. The new binomial model is used to resolve a discontinuity problem in option pricing.
Extends CRR model with q-binomial random walks for asset pricing.
We characterize the combinatorial structure of conditionally-i.i.d. sequences of negative binomial processes with a common beta process base measure. In Bayesian nonparametric applications, such processes have served as models for latent multisets of features underlying data. Analogously, random subsets arise from cond…
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded using only periodic fee income. We consider the separate perspectives of the insur…
We introduce a new class of identifiable DAG models where the conditional distribution of each node given its parents belongs to a family of generalized hypergeometric distributions (GHD). A family of generalized hypergeometric distributions includes a lot of discrete distributions such as the binomial, Beta-binomial, …
Enhances binomial model with machine learning for microstructure effects.
Correction for Error estimates for binomial approximations of game options [math.PR/0607123]
Bayesian method tackles variable selection in high-dimensional data.
In this paper, we develop a general theory of truncated inverse binomial sampling. In this theory, the fixed-size sampling and inverse binomial sampling are accommodated as special cases. In particular, the classical Chernoff-Hoeffding bound is an immediate consequence of the theory. Moreover, we propose a rigorous and…
A new control chart detects shifts in binary data streams quickly and reliably.
The paper proposes count echo state networks for forecasting graduate student enrollments.
Detecting and recovering labels in binomial logistic mixtures is challenging due to an information gap.
Using techniques from the theories of convex polytopes, lattice paths, and indirect influences on directed manifolds, we construct continuous analogues for the binomial coefficients and the Catalan numbers. Our approach for constructing these analogues can be applied to a wide variety of combinatorial sequences. As an …
The theme in this paper is the recombining binomial tree to price American put option when the underlying stock follows constant elasticity of variance(CEV) process. Recombining nodes of binomial tree are decided from finite difference scheme to emulate CEV process and the tree has a linear complexity. Also it is deriv…
New framework for portfolio management using binomial markets and game theory.
We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.
A new tree model, GRST, improves option pricing without log-normality assumptions.
BKP R package models spatially varying binomial probabilities efficiently.
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Gree…
The paper improves count data regression models for overdispersed data.
The paper models stock returns using -Gaussians and negative binomials.
The paper resolves a counterexample showing convergence of expected utility in binomial models.
Unified NMF models for various noise distributions, improving feature extraction.
Unified model combines scores and rankings for grant panel review.
A beta-negative binomial (BNB) process is proposed, leading to a beta-gamma-Poisson process, which may be viewed as a "multi-scoop" generalization of the beta-Bernoulli process. The BNB process is augmented into a beta-gamma-gamma-Poisson hierarchical structure, and applied as a nonparametric Bayesian prior for an infi…
By developing data augmentation methods unique to the negative binomial (NB) distribution, we unite seemingly disjoint count and mixture models under the NB process framework. We develop fundamental properties of the models and derive efficient Gibbs sampling inference. We show that the gamma-NB process can be reduced …
We justify and give error estimates for binomial approximations of game (Israeli) options in the Black--Scholes market with Lipschitz continuous path dependent payoffs which are new also for usual American style options. We show also that rational (optimal) exercise times and hedging self-financing portfolios of binomi…
Paper uses algebraic signatures to identify probabilistic structures in empirical data.
Develops a new filtration for asset pricing models.
This paper provides formulas for minimum cost super-hedging in a multi-asset binomial market.
The th-nearest neighbor rule is arguably the simplest and most intuitively appealing nonparametric classification procedure. However, application of this method is inhibited by lack of knowledge about its properties, in particular, about the manner in which it is influenced by the value of ; and by the absence of…
We propose a method for estimating coefficients in multivariate regression when there is a clustering structure to the response variables. The proposed method includes a fusion penalty, to shrink the difference in fitted values from responses in the same cluster, and an L1 penalty for simultaneous variable selection an…
New model predicts weekly earthquakes with better tail risk assessment.
We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree increments with the corresponding moments of the increments of the limiting Itô price process. Second, we introduce a new trinomial model i…
This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by binomial processes, i.e., by processes with fixed size binary increments at sampling points. …
EagleEye detects localized density anomalies in multivariate data.
PSO optimizes model parameters in nonstandard distributions.
We define a family of probability distributions for random count matrices with a potentially unbounded number of rows and columns. The three distributions we consider are derived from the gamma-Poisson, gamma-negative binomial, and beta-negative binomial processes. Because the models lead to closed-form Gibbs sampling …
We use the theory of normal variance-mean mixtures to derive a data augmentation scheme for models that include gamma functions. Our methodology applies to many situations in statistics and machine learning, including Multinomial-Dirichlet distributions, Negative binomial regression, Poisson-Gamma hierarchical models, …
A financial model without short-selling shows deviations from normality.
Proposes a new model to better handle overdispersed count time series.
We give the proof of a tight lower bound on the probability that a binomial random variable exceeds its expected value. The inequality plays an important role in a variety of contexts, including the analysis of relative deviation bounds in learning theory and generalization bounds for unbounded loss functions.
Closed-form pricing method for multi-asset options.
We introduce negative binomial matrix factorization (NBMF), a matrix factorization technique specially designed for analyzing over-dispersed count data. It can be viewed as an extension of Poisson matrix factorization (PF) perturbed by a multiplicative term which models exposure. This term brings a degree of freedom fo…